Article ID Journal Published Year Pages File Type
1155186 Statistics & Probability Letters 2008 4 Pages PDF
Abstract
The exact Fisher information matrix of a Gaussian vector autoregressive-moving average (VARMA) process has been considered for a time series of length N in relation to the exact maximum likelihood estimation method. In this paper it is shown that the Gaussian exact Fisher information matrix converges to the asymptotic Fisher information matrix when N goes to infinity.
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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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